* Use universe settings when adding derivatives
Use resolution, fill forward and extended market hours settings from universe settings when adding derivative securities (options, index options, futures and future options)
* Minor python syntax check fix
* Minor change
* Default resolution from universe settings for common lean types securities
* Minor test fix
* Cleanup
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* Add SeedInitialPrices algorithm setting
This is true by default and indicates that the engine will seed initial prices right after the security is added or selected
* Update regression algorithms
* Update regression algorithms
* Update regression algorithms
* Refactor default securities seeding
* Minor fix
* Minro fixes
* Cleanup
* Updated and add regression algorithms
* Address peer review
* Centralize logic to get last known data for multiple securities
* Some cleanup
* Minor build fix
* Minor fixes
* More logic centralization
* Some more cleanup
* Cleanup
* Update regression algorithms and minor fixes
* Update regression algorithms
* Minor fix
* More minor fixes
* Update regression algorithms
* Cleanup
* Minor test fix
* Address peer review
* Minor fix and performance improvement
* Fix to seed open interest data
* Minor test fixes
* Address peer review
* Minor change
* Minor revert
* Minor fixes and improvements
* Disable initial seeding by default
* Minor fixes
* Cleanup
* Cleanup
* Minor fix
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* Implement Session class
* Use MarketHourAwareConsolidator inside Session
* Delete SecurityCacheSessionConfig
* Refactor session class
* Solve review comments
* Fix regression algorithms
* Add null check to AvailableDataTypes
* Update session class
* Solve new review comments
* Add new test for futures and update regression test to PEP8
* Add new regression algorithm for Session with futures
* Resolve review comments
* Add local time keeper to SecurityCache
* Scan on consolidator updates and time updates
* Add new regression algorithms and unit tests
* Add unit tests and improve comments
* Fix syntax test
* Solve review comments
* Add regression algorithms
* Resolve review comments
* Make SessionConsolidator implement IDataConsolidator
* Add caching to avoid recreating SessionBar instances on every access
* Solve review comments
* Make SessionConsolidator inherit from MarketHourAwareConsolidator
* Add unit test to verify Session preserves previous day values
* Update regression algorithms
* Solve review comments
* Resolve review comments
* Solve new review comments
* Add unit test for Session class
* Refactor SessionBar properties and Update method
* Use WorkingDataInstance reference instead of _workingData.Clone()
* Use a delegate to get the workingBar instance
* Fix bug in MarketHourAwareConsolidator
* Solve review comments
* Handle OI values
* Add regression algorithms for future contracts and options
* Solve review comments
* Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase
* Prevent overlapping higher resolution data
* Update tests
* Solve review comments
* Minor tweaks
* Add tag parameter, update CancelOpenOrders and Liquidate calls
* Resolved commen on the related PR: following the pattern of Liquidate() using Liquidated as default, I think the tag should be Removed
* Add tag parameter to RemoveSecurity and update regression algorithms
* Minor tweaks
---------
Co-authored-by: meysam <poormonfared.azimi@gmail.com>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Allow multiple concurrent transaction handlers
Also support multiple producers in BrokerageConcurrentMessageHandler
* Minor change
* Minor change
* Add new maximum-transaction-threads config to json file
* Minor naming changes
* Address peer review and add unit tests
* Minor fix
* Minor fix and unit tests
* Address peer review
This allows the stubs generator to know when to not generate Union types for parameters that can accept multiple types, like Symbol | str | BaseContract
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* Adds BroadcastCommand Method
Send a command to all live algorithms.
* Addresses Peer-Review
* Minor tweaks
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* First draft of the solution
* First draft of the tests
* Nit changes
* Nit change
* Add improvements
* Improve unit tests
* Regression algos
* Nit change
* Nit changes
* Improve unit tests
* Improve unit test
* Nit change
* Address reviews
* Fix CA1819 and CA1002 warnings
Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.
* Improve implementation
* Simplify code
* Fix bugs
* Dynamic spdb
* Minor changes and unit test
* Get MHDB and SPDB refresh period from config
* Add databases refresh period to algorithm settings
* Address peer review and add unit test
* Daily data Time & EndTime Improvement
- Adjust daily data Time & EndTime to actually reflect the time of the
data used, for example US Equity from 9.30 to 4PM. Adding new unit and
regression tests
* Refactor solution to use enumerator
- Refactor daily strict end times solution to be through enumerator
usage, so it applies for history providers too
* Minor fixes
* Revert fill forward enumerator change
- Revert FillForward enumerator causing stats changing, enhancing unit
tests
* Some cleanup
* Improve handling of live trading FF enumerator
- Improve handling of live trading FF enumerator, by adding support for
bars to arrive with a delay so we can handle auction close/option
prices or data providers which might have some delay making the data
available. Adding new unit tests asserting the behavior
* Fix: source custom data from remote CSV zipped file
* Fix: Custom data sourcing zip entry names from remote locations
* Address peer review
* Add unit tests
* Minor fix
* Address peer review
* Minor fixes
* Return byte array in IApi.DownloadBytes
* Allow sourcing custom data from specific csv entry in a zipped remote file
* Minor change
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* Adding new algorithm data handling options
- Adding new QCAlgorithm data handling method options to override.
Adding Py/C# regression tests
- Removing old OnData Type specific invoker methods
* Address reviews. Remove old OnData C# only methods
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* Adds Rebate and Fee Rates to Shortable Provider
If the provider does have this information, the rates are zero.
* Adds Helper Methods to QCAlgorithm
- Improve summaries.
- Express values as rates instead of percentages.
- Adds headers to files to emulate real data
* Clarify the Data Format
* Removes Helper Methods from QCAlgorithm
* Removes `Shortable` and `ShortableQuantity` from Example
Algorithms should prefer getting the information from the `Security.ShortableProvider`.
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* Implement backtest self-naming and self-tagging
* Minor unit test fix
* Minor api changes
* Minor changes
* Send packet messages when algorithm's name or tags are updated
* Minor fixes
* Address peer review
* Backtest name and tags API calls
Plus, first version of CI for API tests
* Add endpoint to update a backtest set of tags
* Minor GH actions change
* Address peer review
* Add algorithm naming and tagging unit tests
* Minor backtest API changes
* feat: new `TradingDaysPerYear` prop in IAlgorithmSettings
* feat: getTradingDayPerYear by BrokerageModel
feat: init algo tradingDaysPerYear in brokerage|BacktestingSetupHandler
refactor: nullable `TradingDayPerYear`
* remove: hardcoded value:252 in statistics
* test: `algorithm.Settings.TradingDaysPerYear` for different brokerage
fix: tests calculation of `AnnualPerformance()`
* fix: Report generator by tradingDayPerYear
* fix: hardcoded value in PortfolioStatisticsTests
* fix: tradingDayPerYear in AnnualPerformanceTest
remove: extra spacing
* feat: backwards compatibility for TradingDaysPerYear
* feat: several UTest for AlgoSetting's TradingDaysPerYear prop
* fix: existed algo + test
* feat: regression algo with checking of tradingDayPerYear in OnEndOfAlgorithm()
* refactor: GetBrokerageTradingDayPerYear -> SetBrokerage... in BaseSetupHandler
refactor: carry out tradingDayPerYear at the top level and pass variable
* remove: default valuine in test param
remove: extra comment.
* fix: missed init TradingDaysPerYear in report.portfolioAlgo
fix: hardcoded value to tradingDaysPerYear
* fix: nullable TradingDaysPerYear in AlgorithmConfiguration
feat: UTest for PortfolioLooperAlgo
feat: add advanced description
* feat: test PortfolioStatistics with different tradingDaysPerYear
* revert: PortfolioLooper with TradingDaysPerYear implementation
* revert: nullable TradingDaysPerYear in AlgoConfiguration
remove: SetBrokerageTradingDayPerYear in BaseResultHandler
* style: remove empty row
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* Plotting Limits Handling Improvements
- Improve the handling and enforcement of plotting limits
- Increase local default limits
* Minor plotting test fix
* Implement risk free interest rate as an algorithm model
* Use risk free insterest rate model in Sharpe Ratio indicator
* Address peer review
Also added python wrapper
* Take pyobject as interest rate model in Sharpe Ratio indicator
* Minor fix
* Minor fix
* Address peer review
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* Shortable modeling improvements
- Do not limit live trading because of shortable model, will send
algorithm warning
- Add Interactive brokers shortable provider
- Minor LocalDiskShortableProvider API changes
* Fix shorted order update
- Fix shorted order update. Updating regression algorithm
* Minor improvement
* Address reviews
Jhonathan Abreu